Assumes working knowledge of options and a willingness to learn about new things — like volatility
The volume of CBOE’s Weeklyssm options has grown rapidly since they expanded their listings into equities and Exchange Traded Products in June 2010. Now weekly options comprise almost 30% of the CBOE’s average daily option volume. The list of available weekly options is available on the CBOE website. Among other things, option traders take advantage of the Weeklys to position themselves for earnings releases, harvest rapid …
Every couple of months it seems like there’s an uptick in articles about the CBOE’s VIX Index being broken or manipulated. Generally I expect the percentage moves in the VIX to be around a factor of 4 in the opposite direction of SPX (S&P 500). But there are significant eccentricities in the VIX that I factor in, for example Fridays tend to be down days, …
Wednesday night, March 21, 2012, I was wondering if there was a graceful way for Credit Suisse to restore TVIX to working order and get its share creation process working again. The Wednesday close was $14.43, roughly 2X the $7.62 indicative value (IV) giving a market capitalization of $587 Million. The correct market cap, based on the indicative value was $310 Million. Somehow $277 …
Covered calls are an example of positions that are short volatility. I hadn’t thought of it that way until Sheldon Natenburg, the author of Option Volatility & Pricing pointed that out in a fascinating interview in Expiring Monthly. A covered call position is profitable if the underlying equity stays the same or goes up, but in a big market downswing, when volatility spikes up, the modest …
One of the persistent characteristics of the CBOE‘s VIX® index is the Christmas Effect—the tendency for VIX to drop down to relatively low levels during the Christmas holidays. The CBOE’s VIX volatility December futures predict this drop for months in advance, and it has come to pass again this year. I am aware of at least three possible explanations for this: Option market makers and others …
